Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0107 |
| Annualized Std Dev | 0.2025 |
| Annualized Sharpe (Rf=0%) | 0.0529 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3647.0000 |
| NAs | 1.0000 |
| Minimum | -0.1168 |
| Quartile 1 | -0.0050 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0060 |
| Maximum | 0.1569 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0128 |
| Skewness | 0.0526 |
| Kurtosis | 19.0652 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0104 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.5289 |
| Historical VaR (95%) | -0.0183 |
| Historical ES (95%) | -0.0310 |
| Modified VaR (95%) | -0.0158 |
| Modified ES (95%) | -0.0158 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-07 | 2009-03-09 | NA | -0.5289 | 3344 | 314 | NA |
| 2007-06-04 | 2007-08-15 | 2007-09-26 | -0.0943 | 81 | 52 | 29 |
| 2007-02-27 | 2007-03-05 | 2007-03-21 | -0.0662 | 17 | 5 | 12 |
| 2006-12-15 | 2007-01-10 | 2007-02-02 | -0.0381 | 32 | 16 | 16 |
| 2007-11-09 | 2007-11-12 | 2007-11-23 | -0.0261 | 10 | 2 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | -0.9 | 0.8 | -0.1 | 0.3 | 0.1 |
| 2007 | 0.9 | -1 | -0.2 | 0.2 | 0.5 | 0.3 | 1 | 1.2 | 1.2 | -1.9 | -0.4 | -0.8 | 1 |
| 2008 | 1.2 | -2.2 | 2.3 | 1.6 | 0.5 | -0.1 | -1.6 | -1 | 0.2 | 0 | -9 | 1.7 | -6.6 |
| 2009 | -1.1 | -0.4 | -0.2 | 1.1 | 2.5 | 1 | -0.2 | -1.9 | -2.4 | -2.3 | 2.3 | -0.9 | -2.8 |
| 2010 | 1 | 0.6 | 1.3 | 0.1 | -1.4 | 1.3 | -0.1 | 2.3 | 0.8 | -0.8 | 1.3 | -0.1 | 6.4 |
| 2011 | 2 | -1.5 | 0.4 | 0.3 | -1.8 | 1 | -1.3 | -0.7 | -2.2 | -2.4 | -0.2 | 0 | -6.5 |
| 2012 | 0.9 | 1.2 | 0.5 | 0.4 | -1.1 | 1.8 | -0.3 | 0.5 | 0.1 | -0.2 | 0.4 | 1.4 | 5.6 |
| 2013 | 0.1 | -0.4 | -0.4 | -0.4 | -1.2 | -1 | 1.2 | -0.4 | 0.5 | -0.2 | -0.1 | 0.5 | -1.6 |
| 2014 | 0.1 | 0.6 | -0.4 | 0.7 | 0.8 | 0 | -0.4 | 0.5 | -0.1 | 0.7 | 0.4 | -1.1 | 1.8 |
| 2015 | -2 | 0.4 | 0.4 | 0.4 | -0.1 | 0.1 | 1 | -2.8 | -0.9 | 0.4 | 1.2 | -1.2 | -3.1 |
| 2016 | 0.9 | 0.6 | 0 | 0.5 | -0.1 | 0.1 | -0.5 | -0.1 | -0.2 | -1.2 | -1 | -0.4 | -1.4 |
| 2017 | -1.1 | -0.6 | 0.6 | -0.2 | 0.7 | -0.2 | 0.6 | 0 | 0.1 | -0.6 | -0.4 | 0 | -0.9 |
| 2018 | -0.8 | -0.3 | 0.5 | -0.3 | -1.1 | 0.5 | -1 | -0.4 | -0.3 | 0 | 1 | 0.2 | -1.9 |
| 2019 | -0.5 | 0.2 | -0.4 | -1.2 | 0.3 | -0.2 | 0.5 | 0 | -0.3 | -0.2 | -0.2 | 0.3 | -1.7 |
| 2020 | -0.4 | -2.9 | -5.8 | -2.1 | 1.3 | 1.6 | -0.2 | -0.8 | 1.1 | -0.9 | 1.1 | 0.8 | -7.3 |
| 2021 | 0.5 | 1.8 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
